Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1267 |
| Annualized Std Dev | 0.1736 |
| Annualized Sharpe (Rf=0%) | 0.7297 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2862.0000 |
| NAs | 1.0000 |
| Minimum | -0.1193 |
| Quartile 1 | -0.0035 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0005 |
| Quartile 3 | 0.0055 |
| Maximum | 0.0934 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0001 |
| Stdev | 0.0109 |
| Skewness | -0.6508 |
| Kurtosis | 15.1017 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0081 |
| Gain Deviation | 0.0076 |
| Loss Deviation | 0.0093 |
| Downside Deviation (MAR=210%) | 0.0126 |
| Downside Deviation (Rf=0%) | 0.0079 |
| Downside Deviation (0%) | 0.0079 |
| Maximum Drawdown | 0.3433 |
| Historical VaR (95%) | -0.0163 |
| Historical ES (95%) | -0.0269 |
| Modified VaR (95%) | -0.0161 |
| Modified ES (95%) | -0.0303 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2020-02-20 | 2020-03-23 | 2020-08-12 | -0.3433 | 122 | 23 | 99 |
| 2018-09-21 | 2018-12-24 | 2019-04-29 | -0.2025 | 150 | 65 | 85 |
| 2011-05-02 | 2011-10-03 | 2012-02-23 | -0.2004 | 206 | 108 | 98 |
| 2010-04-26 | 2010-07-02 | 2010-11-04 | -0.1589 | 136 | 49 | 87 |
| 2015-05-22 | 2016-02-11 | 2016-07-12 | -0.1527 | 287 | 183 | 104 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.1 | -1 | 0.1 |
| 2010 | 1.5 | 0.9 | 0.7 | -1.6 | -1.7 | -0.3 | 0.1 | 3 | 0.4 | 0 | 2.1 | 0 | 5 |
| 2011 | 1.5 | -1.6 | 0.5 | 0.2 | -2.2 | 1.5 | -0.2 | -1.2 | -2.5 | -2.9 | -0.1 | -0.3 | -7.3 |
| 2012 | 1 | 0.7 | 0.4 | 0.5 | -2.6 | 2.5 | -0.3 | 0.5 | 0.2 | 1.1 | 0 | 1.8 | 5.8 |
| 2013 | 1 | 0.3 | -0.4 | -0.9 | -1.5 | 0.7 | 1.2 | -0.4 | 0.9 | 0.3 | -0.3 | 0.4 | 1.2 |
| 2014 | -0.6 | 0.2 | 0.8 | -0.1 | 0.2 | 0.6 | -0.2 | 0.3 | -1.3 | 1.1 | -0.7 | -1.1 | -0.9 |
| 2015 | -1.2 | -0.4 | -0.4 | 1 | 0.2 | 0.7 | -0.2 | -3 | 0.3 | -0.5 | 0.9 | -0.9 | -3.5 |
| 2016 | 0 | 2.4 | 0.6 | -0.5 | 0.2 | 0.3 | -0.1 | 0 | 0.8 | -0.7 | -0.3 | -0.4 | 2.2 |
| 2017 | 0 | 1.4 | -0.2 | 0.3 | 0.8 | 0.2 | 0.2 | 0.2 | 0.3 | 0.2 | -0.1 | -0.4 | 3 |
| 2018 | -0.1 | -1.3 | 1.4 | 0.2 | 1.1 | 0.1 | -0.1 | 0 | 0.3 | 1.1 | 0.7 | 1 | 4.4 |
| 2019 | 0.2 | 0.6 | 1.2 | -0.7 | -1.3 | 0.7 | -0.9 | 0 | -1.3 | 0.9 | -0.3 | 0.2 | -0.6 |
| 2020 | -1.8 | -0.6 | -4.5 | -2.8 | 0.6 | 0.6 | 0.7 | 0.9 | 0.8 | -1.1 | 1 | 0.4 | -5.8 |
| 2021 | 1.7 | 2.5 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-11-03 24.5 SPY 105. 0.0032 -0.0166 0.0061 0.0422 0.0776 -0.235 -0.0784 GLD 106. 0.0241 0.0453
2 2009-11-04 24.6 SPY 105. 0.0026 0.0049 -0.0056 0.0504 0.0449 -0.233 -0.0875 GLD 107. 0.006 0.0632
3 2009-11-05 25.1 SPY 107. 0.0184 0.0019 0.0099 0.0558 0.111 -0.217 -0.0832 GLD 107. -0.0011 0.0418
4 2009-11-06 25.1 SPY 107. 0.0026 0.0345 0.0049 0.0608 0.179 -0.224 -0.0865 GLD 107. 0.0042 0.0478
5 2009-11-09 25.7 SPY 110. 0.0228 0.0503 0.0215 0.0987 0.167 -0.210 -0.0644 GLD 108. 0.0071 0.0408
6 2009-11-10 25.7 SPY 110. 0.0002 0.0472 0.0177 0.0872 0.183 -0.211 -0.0624 GLD 108. 0.0018 0.0181
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
